def corr_arma(k_vars, ar, ma):
'''create arma correlation matrix
converts arma to autoregressive lag-polynomial with k_var lags
ar and arma might need to be switched for generating residual process
Parameters
----------
ar : array_like, 1d
AR lag-polynomial including 1 for lag 0
ma : array_like, 1d
MA lag-polynomial
'''
from scipy.linalg import toeplitz
from statsmodels.tsa.arima_process import arma2ar
ar = arma2ar(ar, ma, nobs=k_vars)[:k_vars] #bug in arma2ar
return toeplitz(ar)
def corr_arma(k_vars, ar, ma):
'''create arma correlation matrix
converts arma to autoregressive lag-polynomial with k_var lags
ar and arma might need to be switched for generating residual process
Parameters
----------
ar : array_like, 1d
AR lag-polynomial including 1 for lag 0
ma : array_like, 1d
MA lag-polynomial
'''
from scipy.linalg import toeplitz
from statsmodels.tsa.arima_process import arma2ar
ar = arma2ar(ar, ma, nobs=k_vars)[:k_vars] #bug in arma2ar
return toeplitz(ar)